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stock star
(125587405)

Created by: JamesLang JamesLang
Started: 10/2019
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following Pairs Trading / Relative Value

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $138.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
121.7%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(8.9%)
Max Drawdown
151
Num Trades
57.0%
Win Trades
4.1 : 1
Profit Factor
81.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +46.5%+8.4%+4.8%+66.3%
2020+5.4%+5.4%+9.1%+3.2%+5.7%+2.5%(1.7%)  -                          +33.3%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 242 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/10/20 11:43 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 120 19.54 8/7 9:40 18.90 0.39%
Trade id #130017821
Max drawdown($85)
Time7/10/20 14:49
Quant open120
Worst price18.83
Drawdown as % of equity-0.39%
($79)
Includes Typical Broker Commissions trade costs of $2.40
7/16/20 12:41 TEVA TEVA PHARMACEUTICAL LONG 230 12.09 8/7 9:40 11.78 0.4%
Trade id #130118954
Max drawdown($89)
Time7/27/20 0:00
Quant open100
Worst price11.37
Drawdown as % of equity-0.40%
($76)
Includes Typical Broker Commissions trade costs of $4.60
8/6/20 9:32 GME GAMESTOP LONG 200 4.61 8/7 9:40 4.21 0.41%
Trade id #130487000
Max drawdown($91)
Time8/7/20 0:00
Quant open200
Worst price4.15
Drawdown as % of equity-0.41%
($83)
Includes Typical Broker Commissions trade costs of $4.00
8/6/20 12:35 GPS GAP LONG 100 13.73 8/6 12:52 13.72 0.01%
Trade id #130493664
Max drawdown($1)
Time8/6/20 12:38
Quant open100
Worst price13.71
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $2.00
8/4/20 13:38 YINN DIREXION DAILY FTSE CHINA BULL LONG 101 15.73 8/6 11:28 15.57 0.09%
Trade id #130451356
Max drawdown($20)
Time8/6/20 10:46
Quant open101
Worst price15.53
Drawdown as % of equity-0.09%
($18)
Includes Typical Broker Commissions trade costs of $2.02
8/4/20 9:31 APA APACHE LONG 200 15.85 8/5 9:41 16.66 0.27%
Trade id #130443132
Max drawdown($59)
Time8/4/20 9:50
Quant open200
Worst price15.55
Drawdown as % of equity-0.27%
$158
Includes Typical Broker Commissions trade costs of $4.00
8/4/20 9:31 TSN TYSON FOODS LONG 30 62.64 8/4 10:14 63.68 0.01%
Trade id #130443188
Max drawdown($2)
Time8/4/20 9:48
Quant open30
Worst price62.55
Drawdown as % of equity-0.01%
$30
Includes Typical Broker Commissions trade costs of $0.60
7/30/20 11:22 TWTR TWITTER INC LONG 50 36.85 7/31 11:44 36.54 0.16%
Trade id #130366666
Max drawdown($35)
Time7/31/20 10:46
Quant open50
Worst price36.14
Drawdown as % of equity-0.16%
($16)
Includes Typical Broker Commissions trade costs of $1.00
7/29/20 13:20 JCI JOHNSON CONTROLS LONG 20 37.76 7/31 11:44 37.86 0.08%
Trade id #130343694
Max drawdown($18)
Time7/30/20 0:00
Quant open20
Worst price36.84
Drawdown as % of equity-0.08%
$2
Includes Typical Broker Commissions trade costs of $0.40
7/30/20 13:37 APAM ARTISAN PARTNERS ASSET MANAGEM LONG 50 35.49 7/31 11:43 35.96 0.02%
Trade id #130370085
Max drawdown($4)
Time7/30/20 14:03
Quant open50
Worst price35.40
Drawdown as % of equity-0.02%
$22
Includes Typical Broker Commissions trade costs of $1.00
7/30/20 12:23 EXC EXELON LONG 50 38.15 7/30 13:34 38.16 0%
Trade id #130368663
Max drawdown($0)
Time7/30/20 12:34
Quant open50
Worst price38.13
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $1.00
7/29/20 9:32 MUR MURPHY OIL LONG 200 13.79 7/29 13:05 13.67 0.21%
Trade id #130337323
Max drawdown($46)
Time7/29/20 11:12
Quant open200
Worst price13.56
Drawdown as % of equity-0.21%
($28)
Includes Typical Broker Commissions trade costs of $4.00
7/21/20 11:27 KR KROGER LONG 50 34.87 7/29 9:39 34.76 0.13%
Trade id #130189955
Max drawdown($28)
Time7/27/20 0:00
Quant open50
Worst price34.30
Drawdown as % of equity-0.13%
($6)
Includes Typical Broker Commissions trade costs of $1.00
7/27/20 12:08 TNA DIREXION DAILY SMALL CAP BULL LONG 100 28.99 7/29 9:32 29.60 0.09%
Trade id #130296913
Max drawdown($20)
Time7/28/20 0:00
Quant open100
Worst price28.78
Drawdown as % of equity-0.09%
$60
Includes Typical Broker Commissions trade costs of $2.00
7/24/20 10:00 TWTR TWITTER INC LONG 30 37.68 7/24 11:36 38.05 0.02%
Trade id #130260757
Max drawdown($5)
Time7/24/20 10:33
Quant open30
Worst price37.50
Drawdown as % of equity-0.02%
$10
Includes Typical Broker Commissions trade costs of $0.60
7/13/20 9:50 CDE COUER MINING INC LONG 210 5.87 7/22 12:09 6.59 0.47%
Trade id #130045930
Max drawdown($102)
Time7/14/20 0:00
Quant open210
Worst price5.38
Drawdown as % of equity-0.47%
$148
Includes Typical Broker Commissions trade costs of $4.20
7/20/20 9:39 YINN DIREXION DAILY FTSE CHINA BULL LONG 100 15.97 7/21 9:33 16.85 0.03%
Trade id #130165047
Max drawdown($6)
Time7/20/20 9:58
Quant open100
Worst price15.90
Drawdown as % of equity-0.03%
$86
Includes Typical Broker Commissions trade costs of $2.00
7/13/20 9:40 FDX FEDEX LONG 10 158.96 7/16 10:04 162.28 0.16%
Trade id #130045658
Max drawdown($34)
Time7/14/20 0:00
Quant open10
Worst price155.53
Drawdown as % of equity-0.16%
$33
Includes Typical Broker Commissions trade costs of $0.20
7/13/20 9:55 TNA DIREXION DAILY SMALL CAP BULL LONG 100 26.66 7/15 9:30 28.64 0.87%
Trade id #130046074
Max drawdown($187)
Time7/14/20 0:00
Quant open100
Worst price24.79
Drawdown as % of equity-0.87%
$196
Includes Typical Broker Commissions trade costs of $2.00
7/10/20 12:26 TEVA TEVA PHARMACEUTICAL LONG 130 11.57 7/10 12:27 11.57 0%
Trade id #130019089
Max drawdown($1)
Time7/10/20 12:27
Quant open130
Worst price11.57
Drawdown as % of equity-0.00%
($4)
Includes Typical Broker Commissions trade costs of $2.60
7/9/20 12:40 TEVA TEVA PHARMACEUTICAL LONG 260 11.57 7/10 11:57 11.57 0.11%
Trade id #129996238
Max drawdown($23)
Time7/10/20 0:00
Quant open130
Worst price11.39
Drawdown as % of equity-0.11%
($5)
Includes Typical Broker Commissions trade costs of $5.20
7/9/20 13:11 TXN TEXAS INSTRUMENTS LONG 20 130.88 7/10 10:23 129.74 0.11%
Trade id #129996944
Max drawdown($24)
Time7/10/20 9:57
Quant open20
Worst price129.64
Drawdown as % of equity-0.11%
($23)
Includes Typical Broker Commissions trade costs of $0.40
7/8/20 15:20 GILD GILEAD SCIENCES LONG 50 75.54 7/9 10:30 75.06 0.11%
Trade id #129975516
Max drawdown($24)
Time7/9/20 10:30
Quant open50
Worst price75.05
Drawdown as % of equity-0.11%
($25)
Includes Typical Broker Commissions trade costs of $1.00
7/8/20 12:57 MOMO MOMO INC. AMERICAN DEPOSITARY SHORT 200 21.41 7/8 14:57 21.29 0.15%
Trade id #129972454
Max drawdown($32)
Time7/8/20 13:23
Quant open200
Worst price21.57
Drawdown as % of equity-0.15%
$20
Includes Typical Broker Commissions trade costs of $4.00
7/8/20 11:18 ROKU ROKU INC. CLASS A COMMON STOCK SHORT 20 131.60 7/8 12:11 132.51 0.09%
Trade id #129969587
Max drawdown($19)
Time7/8/20 12:11
Quant open20
Worst price132.60
Drawdown as % of equity-0.09%
($18)
Includes Typical Broker Commissions trade costs of $0.40
7/8/20 10:00 TNA DIREXION DAILY SMALL CAP BULL LONG 160 26.65 7/8 11:07 25.49 0.88%
Trade id #129966947
Max drawdown($194)
Time7/8/20 11:07
Quant open160
Worst price25.44
Drawdown as % of equity-0.88%
($190)
Includes Typical Broker Commissions trade costs of $3.20
7/6/20 12:56 VIPS VIPSHOP HOLDINGS SHORT 100 20.65 7/7 10:12 20.65 0.04%
Trade id #129928470
Max drawdown($7)
Time7/7/20 0:00
Quant open100
Worst price20.73
Drawdown as % of equity-0.04%
($2)
Includes Typical Broker Commissions trade costs of $2.00
7/6/20 9:55 TNA DIREXION DAILY SMALL CAP BULL LONG 120 28.27 7/6 11:59 27.37 0.49%
Trade id #129923281
Max drawdown($108)
Time7/6/20 10:25
Quant open120
Worst price27.37
Drawdown as % of equity-0.49%
($110)
Includes Typical Broker Commissions trade costs of $2.40
7/6/20 9:52 HL HECLA MINING LONG 500 3.31 7/6 11:47 3.22 0.23%
Trade id #129923185
Max drawdown($51)
Time7/6/20 10:16
Quant open500
Worst price3.21
Drawdown as % of equity-0.23%
($58)
Includes Typical Broker Commissions trade costs of $10.00
7/2/20 13:19 MOS MOSAIC LONG 300 12.93 7/2 15:32 12.76 0.25%
Trade id #129882138
Max drawdown($56)
Time7/2/20 15:32
Quant open300
Worst price12.74
Drawdown as % of equity-0.25%
($58)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    10/2/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    312.05
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    151
  • # Profitable
    86
  • % Profitable
    57.00%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    8.9%
  • drawdown period
    Feb 05, 2020 - Feb 28, 2020
  • Cumul. Return
    121.7%
  • Avg win
    $222.02
  • Avg loss
    $72.00
  • Model Account Values (Raw)
  • Cash
    $22,461
  • Margin Used
    $0
  • Buying Power
    $22,378
  • Ratios
  • W:L ratio
    4.09:1
  • Sharpe Ratio
    3.79
  • Sortino Ratio
    8.02
  • Calmar Ratio
    29.345
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    105.67%
  • Correlation to SP500
    0.11860
  • Return Percent SP500 (cumu) during strategy life
    16.06%
  • Return Statistics
  • Ann Return (w trading costs)
    151.1%
  • Slump
  • Current Slump as Pcnt Equity
    3.10%
  • Instruments
  • Percent Trades Futures
    0.18%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.217%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.82%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    182.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    1676.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    934
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    917
  • Popularity (7 days, Percentile 1000 scale)
    972
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $73
  • Avg Win
    $222
  • Sum Trade PL (losers)
    $4,716.000
  • AUM
  • AUM (AutoTrader num accounts)
    31
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $19,094.000
  • # Winners
    86
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    27
  • AUM
  • AUM (AutoTrader live capital)
    1409390
  • Win / Loss
  • # Losers
    65
  • % Winners
    57.0%
  • Frequency
  • Avg Position Time (mins)
    3111.62
  • Avg Position Time (hrs)
    51.86
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.64
  • Daily leverage (max)
    12.98
  • Regression
  • Alpha
    0.26
  • Beta
    0.07
  • Treynor Index
    3.76
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.39
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.809
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.588
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.762
  • Hold-and-Hope Ratio
    0.548
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17689
  • SD
    0.48910
  • Sharpe ratio (Glass type estimate)
    2.40624
  • Sharpe ratio (Hedges UMVUE)
    2.19900
  • df
    9.00000
  • t
    2.19658
  • p
    0.02782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57423
  • Statistics related to Sortino ratio
  • Sortino ratio
    59.62530
  • Upside Potential Ratio
    60.72070
  • Upside part of mean
    1.19851
  • Downside part of mean
    -0.02162
  • Upside SD
    0.57474
  • Downside SD
    0.01974
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.17280
  • Mean of criterion
    1.17689
  • SD of predictor
    0.25306
  • SD of criterion
    0.48910
  • Covariance
    0.03454
  • r
    0.27909
  • b (slope, estimate of beta)
    0.53941
  • a (intercept, estimate of alpha)
    1.08368
  • Mean Square Error
    0.24816
  • DF error
    8.00000
  • t(b)
    0.82205
  • p(b)
    0.21743
  • t(a)
    1.94432
  • p(a)
    0.04388
  • Lowerbound of 95% confidence interval for beta
    -0.97374
  • Upperbound of 95% confidence interval for beta
    2.05255
  • Lowerbound of 95% confidence interval for alpha
    -0.20159
  • Upperbound of 95% confidence interval for alpha
    2.36895
  • Treynor index (mean / b)
    2.18182
  • Jensen alpha (a)
    1.08368
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04374
  • SD
    0.39713
  • Sharpe ratio (Glass type estimate)
    2.62820
  • Sharpe ratio (Hedges UMVUE)
    2.40185
  • df
    9.00000
  • t
    2.39921
  • p
    0.01997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11598
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01495
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81864
  • Statistics related to Sortino ratio
  • Sortino ratio
    52.52500
  • Upside Potential Ratio
    53.62050
  • Upside part of mean
    1.06551
  • Downside part of mean
    -0.02177
  • Upside SD
    0.48201
  • Downside SD
    0.01987
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.14234
  • Mean of criterion
    1.04374
  • SD of predictor
    0.25530
  • SD of criterion
    0.39713
  • Covariance
    0.02928
  • r
    0.28878
  • b (slope, estimate of beta)
    0.44922
  • a (intercept, estimate of alpha)
    0.97980
  • Mean Square Error
    0.16263
  • DF error
    8.00000
  • t(b)
    0.85315
  • p(b)
    0.20919
  • t(a)
    2.18667
  • p(a)
    0.03012
  • Lowerbound of 95% confidence interval for beta
    -0.76499
  • Upperbound of 95% confidence interval for beta
    1.66343
  • Lowerbound of 95% confidence interval for alpha
    -0.05347
  • Upperbound of 95% confidence interval for alpha
    2.01308
  • Treynor index (mean / b)
    2.32347
  • Jensen alpha (a)
    0.97980
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09660
  • Expected Shortfall on VaR
    0.13809
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00081
  • Expected Shortfall on VaR
    0.00326
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.98431
  • Quartile 1
    1.02752
  • Median
    1.06937
  • Quartile 3
    1.09125
  • Maximum
    1.48317
  • Mean of quarter 1
    1.00461
  • Mean of quarter 2
    1.06146
  • Mean of quarter 3
    1.08210
  • Mean of quarter 4
    1.23435
  • Inter Quartile Range
    0.06374
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.48317
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01569
  • Quartile 1
    0.01569
  • Median
    0.01569
  • Quartile 3
    0.01569
  • Maximum
    0.01569
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.73106
  • Compounded annual return (geometric extrapolation)
    1.92020
  • Calmar ratio (compounded annual return / max draw down)
    122.38300
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    13.90520
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.04760
  • SD
    0.20931
  • Sharpe ratio (Glass type estimate)
    5.00505
  • Sharpe ratio (Hedges UMVUE)
    4.98789
  • df
    219.00000
  • t
    4.58637
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.81003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.18917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.17718
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.81340
  • Upside Potential Ratio
    17.47910
  • Upside part of mean
    1.55002
  • Downside part of mean
    -0.50242
  • Upside SD
    0.19984
  • Downside SD
    0.08868
  • N nonnegative terms
    132.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.21448
  • Mean of criterion
    1.04760
  • SD of predictor
    0.35954
  • SD of criterion
    0.20931
  • Covariance
    0.00580
  • r
    0.07704
  • b (slope, estimate of beta)
    0.04485
  • a (intercept, estimate of alpha)
    1.03800
  • Mean Square Error
    0.04375
  • DF error
    218.00000
  • t(b)
    1.14082
  • p(b)
    0.12760
  • t(a)
    4.54428
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    -0.03263
  • Upperbound of 95% confidence interval for beta
    0.12233
  • Lowerbound of 95% confidence interval for alpha
    0.58780
  • Upperbound of 95% confidence interval for alpha
    1.48816
  • Treynor index (mean / b)
    23.35900
  • Jensen alpha (a)
    1.03798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.02407
  • SD
    0.20634
  • Sharpe ratio (Glass type estimate)
    4.96292
  • Sharpe ratio (Hedges UMVUE)
    4.94590
  • df
    219.00000
  • t
    4.54776
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.76882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.14628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.13436
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.37580
  • Upside Potential Ratio
    17.00100
  • Upside part of mean
    1.53045
  • Downside part of mean
    -0.50638
  • Upside SD
    0.19566
  • Downside SD
    0.09002
  • N nonnegative terms
    132.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.14944
  • Mean of criterion
    1.02407
  • SD of predictor
    0.36235
  • SD of criterion
    0.20634
  • Covariance
    0.00585
  • r
    0.07827
  • b (slope, estimate of beta)
    0.04457
  • a (intercept, estimate of alpha)
    1.01741
  • Mean Square Error
    0.04251
  • DF error
    218.00000
  • t(b)
    1.15919
  • p(b)
    0.12382
  • t(a)
    4.52025
  • p(a)
    0.00001
  • Lowerbound of 95% confidence interval for beta
    -0.03121
  • Upperbound of 95% confidence interval for beta
    0.12035
  • Lowerbound of 95% confidence interval for alpha
    0.57380
  • Upperbound of 95% confidence interval for alpha
    1.46101
  • Treynor index (mean / b)
    22.97590
  • Jensen alpha (a)
    1.01741
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01692
  • Expected Shortfall on VaR
    0.02213
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00367
  • Expected Shortfall on VaR
    0.00836
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    220.00000
  • Minimum
    0.95157
  • Quartile 1
    0.99855
  • Median
    1.00145
  • Quartile 3
    1.00661
  • Maximum
    1.07991
  • Mean of quarter 1
    0.99275
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00368
  • Mean of quarter 4
    1.01992
  • Inter Quartile Range
    0.00806
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.97123
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.10454
  • Mean of outliers high
    1.03133
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43832
  • VaR(95%) (moments method)
    0.00591
  • Expected Shortfall (moments method)
    0.01266
  • Extreme Value Index (regression method)
    0.42467
  • VaR(95%) (regression method)
    0.00707
  • Expected Shortfall (regression method)
    0.01528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00345
  • Median
    0.00729
  • Quartile 3
    0.02684
  • Maximum
    0.06350
  • Mean of quarter 1
    0.00171
  • Mean of quarter 2
    0.00590
  • Mean of quarter 3
    0.01483
  • Mean of quarter 4
    0.04100
  • Inter Quartile Range
    0.02339
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    0.06350
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30074
  • VaR(95%) (moments method)
    0.04376
  • Expected Shortfall (moments method)
    0.05029
  • Extreme Value Index (regression method)
    0.24029
  • VaR(95%) (regression method)
    0.04701
  • Expected Shortfall (regression method)
    0.06606
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.68985
  • Compounded annual return (geometric extrapolation)
    1.86330
  • Calmar ratio (compounded annual return / max draw down)
    29.34520
  • Compounded annual return / average of 25% largest draw downs
    45.44860
  • Compounded annual return / Expected Shortfall lognormal
    84.20900
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31213
  • SD
    0.16640
  • Sharpe ratio (Glass type estimate)
    1.87574
  • Sharpe ratio (Hedges UMVUE)
    1.86490
  • df
    130.00000
  • t
    1.32635
  • p
    0.44222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64596
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.95162
  • Upside Potential Ratio
    8.91672
  • Upside part of mean
    0.94292
  • Downside part of mean
    -0.63080
  • Upside SD
    0.12910
  • Downside SD
    0.10575
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08124
  • Mean of criterion
    0.31213
  • SD of predictor
    0.45965
  • SD of criterion
    0.16640
  • Covariance
    0.00401
  • r
    0.05242
  • b (slope, estimate of beta)
    0.01898
  • a (intercept, estimate of alpha)
    0.31059
  • Mean Square Error
    0.02783
  • DF error
    129.00000
  • t(b)
    0.59615
  • p(b)
    0.46665
  • t(a)
    1.31644
  • p(a)
    0.42686
  • Lowerbound of 95% confidence interval for beta
    -0.04400
  • Upperbound of 95% confidence interval for beta
    0.08195
  • Lowerbound of 95% confidence interval for alpha
    -0.15620
  • Upperbound of 95% confidence interval for alpha
    0.77738
  • Treynor index (mean / b)
    16.44910
  • Jensen alpha (a)
    0.31059
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29819
  • SD
    0.16634
  • Sharpe ratio (Glass type estimate)
    1.79271
  • Sharpe ratio (Hedges UMVUE)
    1.78235
  • df
    130.00000
  • t
    1.26764
  • p
    0.44475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56261
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77311
  • Upside Potential Ratio
    8.69194
  • Upside part of mean
    0.93463
  • Downside part of mean
    -0.63645
  • Upside SD
    0.12741
  • Downside SD
    0.10753
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02462
  • Mean of criterion
    0.29819
  • SD of predictor
    0.46323
  • SD of criterion
    0.16634
  • Covariance
    0.00396
  • r
    0.05138
  • b (slope, estimate of beta)
    0.01845
  • a (intercept, estimate of alpha)
    0.29864
  • Mean Square Error
    0.02781
  • DF error
    129.00000
  • t(b)
    0.58431
  • p(b)
    0.46731
  • t(a)
    1.26634
  • p(a)
    0.42960
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.04402
  • Upperbound of 95% confidence interval for beta
    0.08092
  • Lowerbound of 95% confidence interval for alpha
    -0.16796
  • Upperbound of 95% confidence interval for alpha
    0.76524
  • Treynor index (mean / b)
    16.16330
  • Jensen alpha (a)
    0.29864
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01564
  • Expected Shortfall on VaR
    0.01985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00510
  • Expected Shortfall on VaR
    0.01122
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95157
  • Quartile 1
    0.99753
  • Median
    1.00048
  • Quartile 3
    1.00360
  • Maximum
    1.04342
  • Mean of quarter 1
    0.99150
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.01263
  • Inter Quartile Range
    0.00607
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97210
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02302
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60247
  • VaR(95%) (moments method)
    0.00850
  • Expected Shortfall (moments method)
    0.02336
  • Extreme Value Index (regression method)
    0.54874
  • VaR(95%) (regression method)
    0.00805
  • Expected Shortfall (regression method)
    0.01961
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00316
  • Median
    0.00892
  • Quartile 3
    0.03214
  • Maximum
    0.06350
  • Mean of quarter 1
    0.00148
  • Mean of quarter 2
    0.00559
  • Mean of quarter 3
    0.02283
  • Mean of quarter 4
    0.04658
  • Inter Quartile Range
    0.02897
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.55186
  • VaR(95%) (moments method)
    0.05304
  • Expected Shortfall (moments method)
    0.05974
  • Extreme Value Index (regression method)
    0.97849
  • VaR(95%) (regression method)
    0.06249
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    1.65743
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -264791000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35419
  • Compounded annual return (geometric extrapolation)
    0.38555
  • Calmar ratio (compounded annual return / max draw down)
    6.07205
  • Compounded annual return / average of 25% largest draw downs
    8.27648
  • Compounded annual return / Expected Shortfall lognormal
    19.42150

Strategy Description

Summary Statistics

Strategy began
2019-10-02
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 8.3%
Rank # 
#53
# Trades
151
# Profitable
86
% Profitable
57.0%
Net Dividends
Correlation S&P500
0.119
Sharpe Ratio
3.79
Sortino Ratio
8.02
Beta
0.07
Alpha
0.26
Leverage
1.64 Average
12.98 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.